Just use the [MP3][/MP3] tag, or just press the musical note on the editor.
Put the whole MP3 URL in between the tag.
For example, to play the MP3 at http://www.robtowns.com/music/blind_willie.mp3 ...
[MP3]http://www.robtowns.com/music/blind_willie.mp3[/MP3]
... and a player (and the URL as a link) will show up in the post: